Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0300
Annualized Std Dev 0.3242
Annualized Sharpe (Rf=0%) 0.0926

Row

Daily Return Statistics

Close
Observations 3443.0000
NAs 1.0000
Minimum -0.1806
Quartile 1 -0.0065
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0078
Maximum 0.2349
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0004
Stdev 0.0204
Skewness 0.2147
Kurtosis 16.8333

Downside Risk

Close
Semi Deviation 0.0144
Gain Deviation 0.0163
Loss Deviation 0.0167
Downside Deviation (MAR=210%) 0.0185
Downside Deviation (Rf=0%) 0.0143
Downside Deviation (0%) 0.0143
Maximum Drawdown 0.7029
Historical VaR (95%) -0.0265
Historical ES (95%) -0.0495
Modified VaR (95%) -0.0251
Modified ES (95%) -0.0251
From Trough To Depth Length To Trough Recovery
2007-05-31 2009-03-05 2013-04-12 -0.7029 1434 401 1033
2020-02-18 2020-03-23 NA -0.4415 276 25 NA
2016-07-25 2018-02-08 2019-01-31 -0.2186 635 390 245
2013-05-22 2013-12-23 2014-11-03 -0.2176 367 150 217
2015-01-28 2015-09-09 2016-03-17 -0.1491 287 156 131

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -0.2 1.9 1.7 0 0.4 -4 3.5 -1.4 1.7
2008 3.2 -1.9 3.6 0.8 -0.6 -0.3 0.3 -0.3 -1.3 8.4 -17 5.4 -1.9
2009 -3.4 -0.6 -0.8 -3.2 3.7 1.4 -0.4 -4.7 -4.2 -0.8 1.8 -1.6 -12.5
2010 1.1 0.6 -0.3 -2.6 -2.7 -0.6 0.3 3.3 0.5 0.8 0.5 -0.6 0.2
2011 0.1 -3.2 0.2 -1 -2.8 1.8 -2.3 -1.8 -2.2 -3.5 -1.1 -0.2 -14.9
2012 0.5 0.5 1 0.8 -2.1 2.3 -0.9 0 -0.6 0.8 0 0.8 3.1
2013 0.2 0.4 0.6 -0.7 -1.2 -0.5 -0.8 -0.6 1.7 0 -1 -0.7 -2.7
2014 0.5 0.9 0.5 0.3 0.6 0.5 0 0.5 0.5 1.8 -0.1 -1.5 4.7
2015 -1.7 0.8 -0.4 1.2 1.2 1.7 0.9 -1.8 -0.1 -1.6 1.5 -0.7 0.9
2016 0.5 2.7 -0.1 -1 -0.7 0 0.3 0 -1.2 -2.3 -1.7 1.2 -2.3
2017 -1.3 -0.5 0.3 0.1 0 0.1 -0.8 0.4 0.2 0.4 0.3 0.2 -0.7
2018 -2.6 0.7 0 1.1 0.4 0.1 0.4 0.4 -1.1 0.6 1.3 0.3 1.4
2019 -1.2 -0.4 -0.4 0.1 1.1 -0.3 0.6 0.2 -0.7 -0.5 -0.5 0.9 -1.1
2020 -0.6 -2.8 -7.5 -3.3 2.2 3.6 -0.2 0.3 3.2 0.1 1.1 0.9 -3.5
2021 2.3 0.6 -2.4 NA NA NA NA NA NA NA NA NA 0.5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart